Physical casinos can bribe the authorities because of the limited market but online casinos should not
Actually nobody should bribe authorities, no matter what, isn't it? Because if they do, then the law is not the same for everybody, then unfair competition can easily happen.
Still, .. most probably some do.
Do they continue with allowing users to use VPN, or do they have "some trick"?
VPN is a double edged sword. A casino can easily turn a blind eye to VPNs, but in case of the smallest suspicion that something is wrong, KYC is asked and, since the user is not from an allowed country, he may get banned and the funds frozen/taken away. And the casinos have to do this because law enforcement can also try out their vigilance.
So my take for the situation in "that country" is to consider electing better politicians next time.